Does idiosyncratic volatility matter? — Evidence from Chinese stock market
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DOI: 10.1016/j.physa.2018.09.184
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Cited by:
- Faiza Siddiqui & Yusheng Kong & Hyder Ali & Salma Naz, 2024. "Energy-Related Uncertainty and Idiosyncratic Return Volatility: Implications for Sustainable Investment Strategies in Chinese Firms," Sustainability, MDPI, vol. 16(17), pages 1-39, August.
- Brockman, Paul & Guo, Tao & Vivero, Maria Gabriela & Yu, Wayne, 2022. "Is idiosyncratic risk priced? The international evidence," Journal of Empirical Finance, Elsevier, vol. 66(C), pages 121-136.
- Yi-Shu Wang & Ting-Chen & Zhen-Jia-Liu, 2020. "The Relationship between Accounting Information Quality and Idiosyncratic Volatility: An Empirical Study on Chinese A-Share Listed Companies," Eurasian Journal of Business and Management, Eurasian Publications, vol. 8(2), pages 150-166.
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More about this item
Keywords
Idiosyncratic volatility premium; Five-factor model; Investors’ sentiment; Lottery preference; Property of actual controller;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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